| Library: | VaR |
| See also: | VaRcopula copulalike clayton frank AMH FGM gumbel galambos |
| Quantlet: | gumbelII | |
| Description: | calculates the density function of a Gumbel II Extreme Value Copula. |
| Usage: | t = gumbelII(uv,theta) | |
| Input: | ||
| uv | n x 2 vector, data | |
| theta | scalar, theta parameter | |
| Output: | ||
| t | n x 1 vector, density function | |
library("VaR")
g=read("multidata2.dat")
g1=g[1:10,1:2]
t=gumbelII(g1,0.5)
t
Value of density function. Contents of t [ 1,] 6.6448 [ 2,] 6.53 [ 3,] 6.5153 [ 4,] 6.5966 [ 5,] 6.6343 [ 6,] 6.6743 [ 7,] 6.6981 [ 8,] 7.0631 [ 9,] 6.8869 [10,] 6.9584